Trend-Following Backtester · Guide · backtest 한국어
crypto · GLOBAL
Bitcoin backtest
10 trend-following strategies were compared on the full daily history of Bitcoin. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 59.8%, MDD -49.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 37.9%, drawdown -83.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 63.8%, MDD -51.8%, Sharpe 1.35, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 25.9%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 59.8%, MDD -49.5%, exposure 41%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=50, k=1.3 |
63.8% | -51.8% | 1.35 | 1.23 | 86.4x | 61 | 43% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=1.6 |
59.8% | -49.5% | 1.30 | 1.21 | 69.2x | 59 | 41% |
| ROC 모멘텀 n=35, threshold=0.13 |
51.9% | -51.5% | 1.26 | 1.01 | 43.7x | 131 | 29% |
| Parabolic SAR step=0.01, maxStep=0.06 |
55.2% | -58.1% | 1.21 | 0.95 | 53.2x | 131 | 52% |
| EMA 크로스오버 fast=26, slow=37 |
53.7% | -58.5% | 1.15 | 0.92 | 48.5x | 55 | 51% |
| SMA 크로스오버 fast=8, slow=46 |
52.9% | -66.3% | 1.15 | 0.80 | 46.3x | 89 | 51% |
| Supertrend period=25, mult=5 |
49.3% | -52.2% | 1.11 | 0.94 | 37.4x | 31 | 47% |
| ADX / DI 방향성 period=11, threshold=9 |
47.1% | -53.7% | 1.11 | 0.88 | 32.8x | 245 | 49% |
| MACD fast=16, slow=19, signal=16 |
48.0% | -61.8% | 1.09 | 0.78 | 34.7x | 169 | 52% |
| Donchian 채널 돌파 entryN=42, exitN=14 |
43.3% | -60.4% | 1.05 | 0.72 | 25.8x | 51 | 39% |
| Buy and hold | 37.9% | -83.2% | 0.82 | 0.46 | 18.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 50-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 50-day middle average